Yep, I was messing with crossbow dwarves last night, a few things I noticed:
If you change their ammo assignments in the mil. screen they will still keep the ones they have assigned until they use them all, to get them to actually change ammo you have to disband the squad and wait for them to put all their equipment back (I found this out when trying to switch my combat ammo from iron to bone so I could do some live target practice but not have the targets die too quick).
I had no problems setting up live practice targets by:
1) building a square of fortifications in the middle of a room with one door,
2) then building a bunch of gobbo cages in it, using the mass dump trick to strip them of armour/weapons,
3) attaching all the cages to a lever,
4) making a burrow around the outside of the fortification enclosure, and creating an alert+schedule where the crossbow squad defend that burrow all year around,
5) switching my crossbow squad to that alert
They all ran in and shot the gobbos till they ran out of ammo.
Normal archery practice is still so broken it effectively doesn't work. I managed to get a few different results that were tantalizingly close: got all my dwarves to "go to archery practice", but they all just went to their rooms and stayed there. Got all my dwarves to "go to organised practice" with my squad lead doing "organise practice", but they never actually started. Got one dwarf to do his own practice, and he did it a lot, but no one else would do it.
So I am just going to stick to goblin target practice.